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Name

As of 05/17/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

Quadratic Deflation ETF

BNDD | Active ETF

$14.76

$40.4 M

3.56%

$0.53

1.04%

Vitals

YTD Return

-0.5%

1 yr return

0.7%

3 Yr Avg Return

N/A

5 Yr Avg Return

N/A

Net Assets

$40.4 M

Holdings in Top 10

86.3%

52 WEEK LOW AND HIGH

$14.8
$13.47
$16.32

Expenses

OPERATING FEES

Expense Ratio 1.04%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

N/A

IRA

N/A


Fund Classification

Fund Type

Exchange Traded Fund


Name

As of 05/17/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

Quadratic Deflation ETF

BNDD | Active ETF

$14.76

$40.4 M

3.56%

$0.53

1.04%

BNDD - Profile

Distributions

  • YTD Total Return -0.5%
  • 3 Yr Annualized Total Return N/A
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 3.6%
  • Dividend Distribution Frequency Monthly

Fund Details

  • Legal Name
    Quadratic Deflation ETF
  • Fund Family Name
    Krane Funds Advisors, LLC
  • Inception Date
    Sep 20, 2021
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Nancy Davis

Fund Description

The Fund is actively managed by the Fund’s investment sub-adviser, Quadratic Capital Management LLC (“Quadratic” or the “Sub-Adviser”), and seeks to achieve its investment objective primarily by investing, directly or indirectly, in a mix of U.S. Treasury securities (“Treasuries”) and option strategies (as defined below) tied to the shape of the U.S. interest rate swap curve (described below). The Fund’s strategy is designed to hedge against deflation risk and generate positive returns from the Fund’s options during periods when the U.S. interest rate curve flattens (i.e., the spread between interest rates on U.S. long-term debt instruments and U.S. shorter-term debt instruments tightens) or inverts.

The Fund invests in Treasuries of various maturities directly or through other exchange-traded funds (“ETFs”) that invest in Treasuries. The “option strategies” used by the Fund are options strategies of various maturities that are tied to the shape of the U.S. interest rate swap curve and structured to limit the loss to the Fund and include long options, long spreads and butterflies. The U.S. interest rate swap curve is a type of interest rate curve that reflects the fixed interest rates used in interest rate swap agreements with different maturities. (“Swap rates” are a fixed interest rate exchanged for a floating interest rate in an interest rate swap). The Fund may buy options, long spreads and “butterflies”. Long spreads involve buying one call (put) option and selling another call (put) option to create a range consisting of a lower (higher) strike price and an upper (lower) strike price and the maximum loss should be limited to the premium paid. Butterflies involve buying a call (put) with a lower (higher) strike price, selling two call (put) options with an intermediate strike price, and buying one additional call (put) option with a higher (lower) strike price and the maximum loss should be limited to the premium paid.

The option strategies used by the Fund are expected to (i) appreciate in value as the curve flattens or inverts (i.e., lower or negative long-term interest rates and/or a reduction in the spread between shorter and longer term interest rates) and (ii) decrease in value or become worthless as the curve steepens. The U.S. interest rate swap curve “flattens” when the spread between swap rates on longer-term debt instruments and shorter-term debt instruments narrows, “steepens” when such spread widens, and “inverts” when swap rates on longer-term debt instruments become lower than those for shorter-term debt instruments (i.e., the spread is negative).

When the Fund purchases an option, the Fund pays a cost (premium) to purchase the option. The Fund’s investments in options will be traded in the over-the counter (“OTC”) market. OTC derivative instruments generally have more flexible terms negotiated between the buyer and the seller. These instruments would generally be subject to greater counterparty risk. Many of the protections afforded to exchange participants will not be available for OTC options and there is no daily price fluctuation limits. OTC instruments also may be subject to greater liquidity risk. Under the Fund’s option contracts, the Fund pays upfront for the option contracts (i.e., the premium), and counterparties are not required to post variation margin. There is no potential additional cash outflow or future liability for the Fund under the options; the Fund’s only potential loss on such options is the premium paid in advance. However, the Fund’s options contracts are subject to counterparty risk, which is the risk of non-performance by an options counterparty. Such non-performance could result in a material loss to the Fund. The Fund is also subject to significant counterparty risk as a result of holding cash at the Fund’s custodian because such cash deposits are unsecured liabilities of the custodian.

Options contracts, by their terms, have stated expirations; therefore, to maintain consistent exposure to options, the Fund will periodically migrate out of existing positions and into different positions with different strike prices and maturities — a process referred to as “rolling.” Quadratic will use its discretion to implement option strategies with a time-to-expiration of any maturity.

Under normal circumstances, the Sub-Adviser generally expects to invest less than 20% of the Fund’s assets in option premiums (as defined below) and to actively manage the Fund’s options investments to reduce the weight of such options in the Fund’s portfolio if their value increases above the desired amount. Similarly, the Sub-Adviser generally expects to sell portfolio investments and reinvest proceeds in options if the value of such options declines below the desired amount.

Investments in derivative instruments, such as the options used in the options strategies, have the economic effect of creating financial leverage in the Fund’s portfolio because such investments may give rise to gains or losses that are disproportionate to the amount the Fund has invested in those instruments. Because the Fund only invests option strategies structured to limit the potential loss to the Fund as part of its principal investment strategy, the maximum loss for the Fund’s options position is the “options premium,” which is defined as the net premium paid for the options and any post-purchase appreciation in value. Thus, any disproportionate returns are generally expected to exist only when the value of such options appreciates. However, following such appreciation, even small changes in the shape of the U.S. interest rate curve or interest rate volatility may result in a significant decline in the value of such options with a maximum loss equal to the options premium at risk. Even small changes in the shape of the U.S. interest rate curve or changes to interest rate volatility levels may result in a significant decline in the value of such options. While the options strategies used by the Fund are structured to limit the potential loss to the Fund, there is no guarantee that this will occur.

The Fund is non-diversified and therefore may invest a larger percentage of its assets in the securities of a single issuer or smaller number of issuers than diversified funds.

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BNDD - Performance

Return Ranking - Trailing

Period BNDD Return Category Return Low Category Return High Rank in Category (%)
YTD -0.5% -39.1% 4.9% 72.55%
1 Yr 0.7% -33.5% 1.5% N/A
3 Yr N/A* -29.8% 3.6% N/A
5 Yr N/A* -11.8% 1.7% N/A
10 Yr N/A* -9.7% 3.1% N/A

* Annualized

Return Ranking - Calendar

Period BNDD Return Category Return Low Category Return High Rank in Category (%)
2023 -0.3% -41.8% 20.5% 2.00%
2022 -42.3% -13.8% 2.6% 95.92%
2021 N/A -18.1% 7.6% N/A
2020 N/A -21.2% 4.9% N/A
2019 N/A -21.0% 0.2% N/A

Total Return Ranking - Trailing

Period BNDD Return Category Return Low Category Return High Rank in Category (%)
YTD -0.5% -39.1% 4.9% 80.39%
1 Yr 0.7% -33.5% -3.5% N/A
3 Yr N/A* -29.8% 1.9% N/A
5 Yr N/A* -11.8% 1.2% N/A
10 Yr N/A* -9.7% 3.3% N/A

* Annualized

Total Return Ranking - Calendar

Period BNDD Return Category Return Low Category Return High Rank in Category (%)
2023 4.0% -41.8% 20.5% 2.00%
2022 -17.5% -13.8% 2.6% 95.92%
2021 N/A -18.1% 7.6% N/A
2020 N/A -21.2% 4.9% N/A
2019 N/A -21.0% 0.2% N/A

BNDD - Holdings

Concentration Analysis

BNDD Category Low Category High BNDD % Rank
Net Assets 40.4 M 25.2 M 20.6 B 86.11%
Number of Holdings 6 4 315 94.44%
Net Assets in Top 10 51.6 M -85.5 M 18.4 B 75.00%
Weighting of Top 10 86.29% 17.0% 99.8% 23.08%

Top 10 Holdings

  1. VANGUARD LONG-TERM TREASURY MUTUAL FUND 79.33%
  2. USD CMS 2-30 07/15/2025 5 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 3.00%
  3. USD CMS 2-30 12/03/2025 20 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 1.58%
  4. USD CMS 2-30 09/24/2024 0 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 1.23%
  5. USD CMS 2-30 03/12/2025 -30 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 0.66%
  6. USD CMS 2-30 05/07/2024 -65 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 0.48%

Asset Allocation

Weighting Return Low Return High BNDD % Rank
Stocks
79.33% 0.00% 0.00% 88.89%
Cash
13.71% 0.02% 37.96% 30.56%
Other
6.96% 0.00% 3.06% 88.89%
Preferred Stocks
0.00% 0.00% 0.00% 88.89%
Convertible Bonds
0.00% 0.00% 0.00% 88.89%
Bonds
0.00% 62.04% 99.98% 72.22%

Stock Sector Breakdown

Weighting Return Low Return High BNDD % Rank
Utilities
0.00% N/A N/A N/A
Technology
0.00% N/A N/A N/A
Real Estate
0.00% N/A N/A N/A
Industrials
0.00% N/A N/A N/A
Healthcare
0.00% N/A N/A N/A
Financial Services
0.00% N/A N/A N/A
Energy
0.00% N/A N/A N/A
Communication Services
0.00% N/A N/A N/A
Consumer Defense
0.00% N/A N/A N/A
Consumer Cyclical
0.00% N/A N/A N/A
Basic Materials
0.00% N/A N/A N/A

Stock Geographic Breakdown

Weighting Return Low Return High BNDD % Rank
US
79.33% 0.00% 0.00% 88.89%
Non US
0.00% 0.00% 0.00% 88.89%

BNDD - Expenses

Operational Fees

BNDD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.04% 0.03% 1.66% 4.17%
Management Fee 0.99% 0.00% 0.99% 100.00%
12b-1 Fee N/A 0.00% 1.00% 57.14%
Administrative Fee N/A 0.15% 0.35% N/A

Sales Fees

BNDD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 1.01% 3.75% N/A
Deferred Load N/A 1.00% 3.34% N/A

Trading Fees

BNDD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 2.00% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

BNDD Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 6.00% 116.00% N/A

BNDD - Distributions

Dividend Yield Analysis

BNDD Category Low Category High BNDD % Rank
Dividend Yield 3.56% 0.00% 3.63% 5.88%

Dividend Distribution Analysis

BNDD Category Low Category High Category Mod
Dividend Distribution Frequency Monthly Quarterly Monthly Monthly

Net Income Ratio Analysis

BNDD Category Low Category High BNDD % Rank
Net Income Ratio N/A 0.74% 2.87% N/A

Capital Gain Distribution Analysis

BNDD Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Monthly Annually

Distributions History

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BNDD - Fund Manager Analysis

Managers

Nancy Davis


Start Date

Tenure

Tenure Rank

Sep 16, 2021

0.7

0.7%

Nancy Davis founded Quadratic Capital in 2013. She is the portfolio manager for The Quadratic Interest Rate Volatility and Inflation Hedge ETF (NYSE Ticker: IVOL), an inflation-protected bond fund and The Quadratic Deflation ETF (NYSE Ticker: BNDD), a government bond ETF. Ms. Davis began her career at Goldman Sachs where she spent nearly ten years, the last seven with the proprietary trading group where she rose to become the Head of Credit, Derivatives and OTC Trading. Prior to starting Quadratic, she served as a portfolio manager at Highbridge Capital Management and in a senior executive role at AllianceBernstein. Ms. Davis has been profiled by Forbes, and interviewed by Barron’s, The Economist, The Wall Street Journal, and The Financial Times among others. Ms. Davis is a frequent guest on television including CNBC, Bloomberg, CNN, Sina and ABC. Ms. Davis writes and speaks frequently about markets and investing.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.41 25.85 7.77 14.84